The only official guidance on the bibliography and citation style of Econometrica that are found are the the short paragraph and few examples in https://www.econometricsociety.org/publications/econometrica/information-authors/instructions-preparing-articles-publication. It is hard to build a full style from that (and I also believe that building a full style is a bit too big an ask for one TeX.SX question: ideally questions should be about specific issues that are of general interest so that they can be recycled for other styles and applications as well).
The following could be a basis for further customisations. I didn't go through the examples with a fine-tooth comb, so I expect to have missed some details.
Econometrica style is an author-year-type style. For easier customisability I picked a style from the biblatex-ext bundle, so the base style is ext-authoryear (you could also try ext-authoryear-comp if you like compressed citations).
The other modifications should be reasonably understandable if you look up the respective commands in the biblatex and biblatex-ext documentations or Guidelines for customizing biblatex styles. (But I'm happy to answer questions about specific pieces of code used in the MWE as well.)
\documentclass[american]{article}
\usepackage[T1]{fontenc}
\usepackage{babel}
\usepackage{csquotes}
\usepackage[backend=biber, style=ext-authoryear,
giveninits,
]{biblatex}
\DeclareAutoCiteCommand{textcite}{\textcite}{\textcites}
\ExecuteBibliographyOptions{autocite=textcite}
\renewcommand*{\newunitpunct}{\addcomma\space}
\DeclareDelimFormat[bib]{nametitledelim}{\addcolon\space}
\DeclareFieldFormat*{title}{#1}
\DeclareFieldFormat{journaltitle}{#1}
\DeclareFieldFormat{issuetitle}{#1}
\DeclareFieldFormat{maintitle}{#1}
\DeclareFieldFormat{booktitle}{#1}
\renewcommand*{\jourvoldelim}{\addcomma\space}
\DeclareFieldFormat{pages}{#1}
\DeclareFieldFormat{postnote}{\mknormrange{#1}}
\DeclareFieldFormat{multipostnote}{\mknormrange{#1}}
\addbibresource{biblatex-examples.bib}
\begin{document}
\autocite{sigfridsson}
\autocite{nussbaum,cicero,westfahl:space}
\printbibliography
\end{document}

Related biblatex: how to match the Journal of Finance bibliographic style?.
Note that you probably can not use biblatex for journal submissions, see Biblatex: submitting to a journal. If journals accept LaTeX they usually have some sort of submission guidance, a template or even a document class. If this is for journal submission, double check (with the editor if the information is not available by other means) that they can accept biblatex.
biblatex-extwhich makes modifications of the standard styles easier. – DG' Mar 23 '20 at 16:02